I'd like to go back in time and kill Hitler before he kills himself...but I'm too much of a coward for killing people (except nerds), so I'll force that art school he never got accepted to pass him. That way, we won't see the holocaust or even WWII.
I would probably tell myself to save money on buying certain things. I used to REALLY get into stuff hardcore and blow money on it, only to stop liking it in a few years.
The non-selfish answer would be, I'd go back in time and see exactly how the pyramids were build... I've always been into them.